Path: Common/Control
% Create an estimator from a state space system.
Create an estimator based on the state equations
.
x = ax + bw
y = cx + v
E(ww') = q
E(vv') = r
E(vw') = n
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Form:
[k, sInf] = QCE( a, c, q, r, b, n )
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Inputs
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a Plant matrix
c Measurement matrix
q State noise covariance matrix
r Measurement noise covariance matrix
b State noise input matrix
n State/measurement cost cross-coupling covariance matrix
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Outputs
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k Optimal gain
sInf Covariance matrix
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References: Bryson, A., Y. Ho, Applied Optimal Control, Hemisphere,
1976, 364-373.
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Common: Control/QCR Common: Control/Riccati Math: MathUtils/Odd
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